ASML vs. FDL
ASML (ASML Holding N.V.) is a stock, while FDL (First Trust Morningstar Dividend Leaders Index Fund) is Large Cap Value Equities fund tracking the Morningstar Dividend Leaders Index. Over the past 10 years, ASML returned 32.64%/yr vs 11.08%/yr for FDL. Their 0.41 correlation means their historical movements had little consistent relationship.
Performance
ASML vs. FDL - Performance Comparison
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Returns By Period
In the year-to-date period, ASML achieves a 57.62% return, which is significantly higher than FDL's 18.60% return. Over the past 10 years, ASML has outperformed FDL with an annualized return of 32.64%, while FDL has yielded a comparatively lower 11.08% annualized return.
ASML
- 1D
- -1.97%
- 1M
- -7.93%
- 6M
- 25.93%
- YTD
- 57.62%
- 1Y
- 144.96%
- 3Y*
- 36.59%
- 5Y*
- 17.68%
- 10Y*
- 32.64%
- ALL TIME*
- 26.85%
FDL
- 1D
- -0.54%
- 1M
- 4.47%
- 6M
- 5.75%
- YTD
- 18.60%
- 1Y
- 26.71%
- 3Y*
- 19.02%
- 5Y*
- 13.96%
- 10Y*
- 11.08%
- ALL TIME*
- 8.95%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $3.17B | $3.33B | $3.44B | |
| $48.97M | $49.30M | $42.41M |
ASML vs. FDL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASML ASML Holding N.V. | 57.62% | 56.51% | -7.70% | 39.91% | -30.49% | 64.13% | 66.06% | 93.56% | -9.80% | 56.23% |
FDL First Trust Morningstar Dividend Leaders Index Fund | 18.60% | 14.79% | 17.98% | 2.94% | 6.66% | 26.10% | -4.30% | 24.41% | -5.99% | 12.02% |
Correlation
The correlation between ASML and FDL is -0.15, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.15 |
Correlation (3Y) Balances recent behavior with more history. | 0.08 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.24 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.31 |
Correlation (All Time) Calculated using the full available price history since Mar 15, 2006 | 0.41 |
The correlation between ASML and FDL shifts across timeframes, from -0.15 (1 year) to 0.41 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ASML vs. FDL — Risk / Return Rank
ASML
FDL
ASML vs. FDL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ASML Holding N.V. (ASML) and First Trust Morningstar Dividend Leaders Index Fund (FDL). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ASML | FDL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.91 | ||
| Sortino ratioReturn per unit of downside risk | +0.08 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.39 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 6.64 | 6.28 | +0.37 |
| Martin ratioReturn relative to average drawdown | 21.97 | 14.78 | +7.19 |
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Drawdowns
ASML vs. FDL - Drawdown Comparison
The maximum ASML drawdown since its inception was -90.00%, which is greater than FDL's maximum drawdown of -65.93%. Use the drawdown chart below to compare losses from any high point for ASML and FDL.
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Drawdown Indicators
| ASML | FDL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.00% | -65.93% | -24.07% |
Max Drawdown (1Y)Largest decline over 1 year | -21.95% | -4.27% | -17.68% |
Max Drawdown (3Y)Largest decline over 3 years | -45.38% | -12.24% | -33.14% |
Max Drawdown (5Y)Largest decline over 5 years | -56.84% | -16.46% | -40.38% |
Max Drawdown (10Y)Largest decline over 10 years | -56.84% | -41.40% | -15.44% |
Current DrawdownCurrent decline from peak | -15.53% | -1.60% | -13.93% |
Average DrawdownAverage peak-to-trough decline | -28.04% | -9.59% | -18.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.62% | 1.81% | +4.81% |
Volatility
ASML vs. FDL - Volatility Comparison
ASML Holding N.V. (ASML) has a higher volatility of 13.85% compared to First Trust Morningstar Dividend Leaders Index Fund (FDL) at 4.48%. This indicates that ASML's price experiences larger fluctuations and is considered to be riskier than FDL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASML | FDL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.85% | 4.48% | +9.37% |
Volatility (6M)Calculated over the trailing 6-month period | 37.36% | 8.63% | +28.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 46.09% | 11.88% | +34.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 43.31% | 14.43% | +28.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 39.16% | 17.16% | +22.00% |
Dividends
ASML vs. FDL - Dividend Comparison
ASML's dividend yield for the trailing twelve months is around 0.54%, less than FDL's 3.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASML ASML Holding N.V. | 0.54% | 0.97% | 0.97% | 0.86% | 1.27% | 0.50% | 0.50% | 1.40% | 0.94% | 0.64% | 0.92% | 0.73% |
FDL First Trust Morningstar Dividend Leaders Index Fund | 3.58% | 4.04% | 4.96% | 4.58% | 3.58% | 4.59% | 4.48% | 3.75% | 3.97% | 3.18% | 2.93% | 3.65% |
Frequently Asked Questions
ASML and FDL have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASML has higher volatility (13.85%) compared to FDL (4.48%). In terms of maximum drawdown, ASML dropped -90.00% vs FDL's -65.93%.
ASML currently has the higher Sharpe Ratio (3.17 vs 2.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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